It is not allowed the use for commercial purposes. Este artigo pode ser copiado, distribuído, exibido, transmitido ou adaptado desde que citados, de forma clara e explícita, o nome da revista, a edição, o ano e as páginas nas quais o artigo foi publicado originalmente, mas sem sugerir que a RAM endosse a reutilização do artigo. Esse termo de licenciamento deve ser explicitado para os casos de reutilização ou distribuição para terceiros. Não é permitido o uso para fins comerciais. ABSTRACTPurpose: This study aimed to analyze the inclusion of corporate governance in the explanation of French's (1993, 2015) three and fivefactor asset pricing models. Originality/value: This research differs from other works by inserting corporate governance as an explanatory factor in the pricing model of financial assets. Thus, it is intended to contribute to the research area by trying to identify previously unexplored characteristics, as the proposed method, that helps and adds explanation to the pricing models of financial assets, thus helping investors and professionals in the financial area. Design/methodology/approach: The research sample consists of 387 companies listed in B3, in the period between 2012 and 2016. For data analysis, panel data regressions were used according to the methodology of Fama and French studies (1993, 2015) through the Stata software. Findings: The results indicate that corporate governance has a negative impact on the return of the actions of small companies with lower levels of corporate governance and that the reverse is true for large companies with high levels of governance. Other variables were also found to be impacting on stock returns, such as market value, book-to-market, profitability, and investments. KEywORDSRisk. Return. Corporate governance. Novo Mercado. Capital Asset Pricing Model.